What is A squared in the Anderson Darling Normality test and how do I interpret the range of values that I get from this test ?
The Anderson-Darling statistic is a statistic which compares the empirical distribution function of your data to that of a fitted distribution. It is popular because of its sensitivity to deviations in the tails of the selected distribution.
The value of the statistic itself is of little interest, although it is related to the integral of the squared difference between the empirical and fitted cumulative distribution functions. Instead, you should concentrate on the P-value of that statistic, which indicates how likely it is that your sample comes from the selected distribution.
One caution: the standard P-values computed by many statistical software programs are not valid when the distribution parameters are estimated from the data (which is the usual case). You should check your software carefully to be sure that they adjust the statistic properly based on the distribution you have selected.
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